商业银行利率风险控制策略分析

利率风险控制是利率风险管理的重要环节,也是识别、衡量利率风险工作的归结。按照是否涉及到资产负债表表内的项目,可将利率风险控制分为资产负债表内控制和资产负债表外控制。本文主要对资产负债表外控制策略进行分析,希望能为有效控制商业银行利率风险提供借鉴作用。     

美国企业集团产融结合的特点及其对我国的启示

本文从制度变迁、金融创新、资源整合等方面分析和归纳了美国企业集团产融结合的经验,针对我国企业集团产融结合中存在的问题,结合我国国情和企业集团的现实情况,从制度变迁、风险控制等方面提出了对我国企业集团产融结合发展的启示。     

Group competition for rents

This paper examines rent dissipation in a two-stage group rent-seeking contest without a predetermined distribution rule. the rent in this setting exhibits both public and private good characteristics depending on the stage of the contest. Focusing on the relationship between group size and aggregate rent seeking we find that social waste depends not only on total numbers but also on the distribution of population across groups. We show that group size asymmetry acts to reduce rent dissipation.     

On the (nonlinear) relationship between exchange rate uncertainty and trade — An investigation of US trade figures in the group of seven

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of exchange rate variations on trade growth is found to be weak. In periods of large exchange rate variations, trade growth forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be non-linear and, moreover, lacks homogeneity across countries and imports vs. exports. JEL no. C14, C22, F31, F41     

论中国不动产利益分配机制体系的构建

不动产利益分配机制体系是价格、租金、税收和收费的有机组合,由于相关制度的不配套以及改革的“路径依赖”,中国现行的不动产利益分配机制体系仍然存在重大缺陷。在本中我们将首先从理论上阐述不动产利益分配机制的一般关系,然后以家庭承包制为切入点,论述中国农村不动产利益分配机制体系的改革,最后以城市房地产行业为切入点,论述中国城市不动产利益分配机制体系的调整。     

Asymmetries between Rich and Poor Countries in Financial Crisis Responses: The Need for a Flow-of-Funds Approach

This paper focuses on the manner in which interest rates have been raised to, and sustained at, extremely high levels in developing and emerging market economies as a consequence of recent financial crises. By contrast rich market economies have typically lowered interest rates and injected liquidity in response to incipient financial crises. The paper first sketches the logic that lies behind extremely high interest rates (nominal and real) as an element of crisis resolution. It suggests that this reflects a money-phobic view of financial markets and also conflicts with some well-established economics. It then reviews the conventional wisdom about why richer economies have enjoyed sustained price stability in recent years and why this in turn has allowed their monetary authorities to be relaxed about injecting additional liquidity in response to LTCM (1998) and September 11 (2001)-type crises. It is pointed out that this conventional wisdom is also money-phobic in that it neglects the build up of corporate and government debt in bond and financial derivative form that has been associated with recent financial developments. This analysis helps to contest the common view that emerging market economies pay a higher price merely because their polices are "bad'. Finally, the paper reviews the manner in which the financial systems of developing and emerging market economies respond to the destabilization created by corrosively high real rates of interest. Even when bankruptcy arrangements are well established, certain new forms of financial flows and instruments are implicit in this response, but are invariably ignored in formal modelling.     

An algebraic theory of portfolio allocation

Summary. Using group and majorization theory, we explore what can be established about allocation of funds among assets when asymmetries in the returns vector are carefully controlled. The key insight is that preferences over allocations can be partially ordered via majorized convex hulls that have been generated by a permutation group. Group transitivity suffices to ensure complete portfolio diversification. Point-wise stabilizer subgroups admit sectoral separability in fund allocations. We also bound the admissible allocation vector by a set of linear constraints the coefficients of which are determined by group operations on location and scale asymmetries in the rate of returns vector. For a distribution that is symmetric under a reflection group, the linear constraints may be further strengthened whenever there exists an hyperplane that separates convex sets. Received: May 15, 2001; revised version: March 20, 2002 RID="*" ID="*" Journal paper No. J-19797 of the Iowa Agriculture and Home Economics Experiment Station, Ames, Iowa. Project No. 3463, and supported by Hatch Act and State of Iowa funds. Correspondence to: D. A. Hennessy     

Deposit interest rates, asset risk and bank failure in Croatia

Financial deregulation, while beneficial in the long-term, seems to be linked to instability. Intense competition for deposits appears to be an ingredient in instability. We examine the aftermath of deregulation in Croatia, which included rapid growth of both deposits and deposit interest rates, followed by numerous bank failures.

Using panel regression techniques, we find evidence of “market-stealing” via high deposit interest rates. We connect high deposit interest rates to bank failure using logit models. High deposit interest rates were a reliable signal of risk-taking. When supervisory capabilities and powers are weak, deposit interest rate regulation may be worth considering.     

公众预期、通胀成因与经济波动牵扯

针对金融危机冲击下各国宏观经济政策所导致的新的世界经济波动,结合中国当前通货膨胀两难局面,运用古典模型中的二分法解构中国通货膨胀,得出名义变量引致了通胀的结论,并将古典增长模型与利率平滑规则有机结合,推断出现阶段通胀背景下仍应坚持适度从紧的货币政策规则,引导公众心理形成稳定的期望收入预期,才能真正意义上在稳定通胀的同时,形成社会理性消费预期,从而使扩大内需成为可能,这才是解决现阶段增长困境所在。     

Regime-switching and interest rates in the European monetary system

This paper examines the impact that a currency target zone has on short-term interest rates. For a number of countries in the European Monetary System, we characterize the short rate using a regime-switching model that allows for a differently parameterized mean-reverting square-root process in each regime. We find that the volatility, the level, and the speed-of-adjustment are all higher in the regime that is operative during speculative attacks and currency crises. Moreover, we allow the conditional probability of being in each regime to be state-dependent so the model can be used to examine questions relating to the likelihood of realignments and the stability of the target zone system.